12
H index
15
i10 index
1000
Citations
Maynooth University | 12 H index 15 i10 index 1000 Citations RESEARCH PRODUCTION: 15 Articles 32 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Financial Economics | 2 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth | 11 |
Research Program in Finance Working Papers / University of California at Berkeley | 7 |
Year | Title of citing document |
---|---|
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper |
2020 | Statistical challenges of stress test financial stability assessments. (2020). Kupiec, Paul H. In: AEI Economics Working Papers. RePEc:aei:rpaper:008586461. Full description at Econpapers || Download paper |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper |
2020 | Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254. Full description at Econpapers || Download paper |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper |
2020 | Hierarchical PCA and Modeling Asset Correlations. (2020). Serur, Juan Andr'Es ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2010.04140. Full description at Econpapers || Download paper |
2021 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper |
2021 | Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077. Full description at Econpapers || Download paper |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper |
2021 | The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266. Full description at Econpapers || Download paper |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. Full description at Econpapers || Download paper |
2021 | The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2021). Wu, Wei ; Shevchenko, Pavel V ; Penev, Spiridon. In: Papers. RePEc:arx:papers:2108.02633. Full description at Econpapers || Download paper |
2022 | Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250. Full description at Econpapers || Download paper |
2022 | A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482. Full description at Econpapers || Download paper |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper |
2020 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper |
2020 | A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103. Full description at Econpapers || Download paper |
2020 | A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060. Full description at Econpapers || Download paper |
2020 | Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064. Full description at Econpapers || Download paper |
2021 | A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710. Full description at Econpapers || Download paper |
2020 | Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874. Full description at Econpapers || Download paper |
2020 | High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886. Full description at Econpapers || Download paper |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05. Full description at Econpapers || Download paper |
2020 | Latent factor model for asset pricing. (2020). Yu, Dantong ; Uddin, Ajim. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302333. Full description at Econpapers || Download paper |
2020 | International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725. Full description at Econpapers || Download paper |
2020 | Artificial neural network regression models in a panel setting: Predicting economic growth. (2020). Jahn, Malte. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:148-154. Full description at Econpapers || Download paper |
2021 | A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718. Full description at Econpapers || Download paper |
2020 | Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34. Full description at Econpapers || Download paper |
2020 | Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31. Full description at Econpapers || Download paper |
2020 | Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects. (2020). Zinde-Walsh, Victoria ; Galbraith, John W. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:609-632. Full description at Econpapers || Download paper |
2021 | Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398. Full description at Econpapers || Download paper |
2021 | Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588. Full description at Econpapers || Download paper |
2021 | Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323. Full description at Econpapers || Download paper |
2021 | Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450. Full description at Econpapers || Download paper |
2021 | Dynamic spatial panel data models with common shocks. (2021). Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:134-160. Full description at Econpapers || Download paper |
2021 | Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75. Full description at Econpapers || Download paper |
2021 | Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27. Full description at Econpapers || Download paper |
2021 | Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269. Full description at Econpapers || Download paper |
2022 | Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50. Full description at Econpapers || Download paper |
2022 | Integration of tidal energy into an island energy system – A case study of Orkney islands. (2022). Davies, Gareth ; Kerr, Sandy ; Woolf, David K ; Almoghayer, Mohammed A. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221027961. Full description at Econpapers || Download paper |
2021 | Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289. Full description at Econpapers || Download paper |
2021 | Convergence in cryptocurrency prices? the role of market microstructure. (2021). Apergis, Nicholas ; Payne, James E ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114. Full description at Econpapers || Download paper |
2022 | Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136. Full description at Econpapers || Download paper |
2021 | On the stability of stock-bond comovements across market conditions in the Eurozone periphery. (2021). Lagoa-Varela, Dolores ; Flavin, Thomas J. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028318303144. Full description at Econpapers || Download paper |
2022 | Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55. Full description at Econpapers || Download paper |
2021 | 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337. Full description at Econpapers || Download paper |
2022 | The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177. Full description at Econpapers || Download paper |
2020 | Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572. Full description at Econpapers || Download paper |
2021 | Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977. Full description at Econpapers || Download paper |
2021 | Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2021). Slaymaker, Rachel ; O'Toole, Conor ; Otoole, Conor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002272. Full description at Econpapers || Download paper |
2020 | Is the active fund management industry concentrated enough?. (2020). Xu, Jingrui ; Saxena, Konark ; Feldman, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:23-43. Full description at Econpapers || Download paper |
2021 | Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675. Full description at Econpapers || Download paper |
2021 | Understanding momentum and reversal. (2021). Pruitt, Seth ; Moskowitz, Tobias J ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:726-743. Full description at Econpapers || Download paper |
2021 | Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692. Full description at Econpapers || Download paper |
2021 | Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238. Full description at Econpapers || Download paper |
2022 | The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187. Full description at Econpapers || Download paper |
2021 | A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646. Full description at Econpapers || Download paper |
2020 | Commodity-price comovement and global economic activity. (2020). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron. In: Journal of Monetary Economics. RePEc:eee:moneco:v:112:y:2020:i:c:p:41-56. Full description at Econpapers || Download paper |
2021 | An empirical illustration of the integration of sovereign bond markets. (2021). Inaba, Kei-Ichiro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:61:y:2021:i:c:s1042444x20300633. Full description at Econpapers || Download paper |
2021 | Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649. Full description at Econpapers || Download paper |
2020 | Flow structures in wake of a pile-supported horizontal axis tidal stream turbine. (2020). Zhang, Jisheng ; Guo, Yakun ; Wang, Risheng ; Lin, Xiangfeng. In: Renewable Energy. RePEc:eee:renene:v:147:y:2020:i:p1:p:2321-2334. Full description at Econpapers || Download paper |
2020 | Information-driven stock return comovements across countries. (2020). Inaba, Kei-Ichiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918309450. Full description at Econpapers || Download paper |
2020 | Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2020). Slaymaker, Rachel ; O'Toole, Conor. In: Papers. RePEc:esr:wpaper:wp652. Full description at Econpapers || Download paper |
2020 | Life Cycle Assessment of Electricity Generation from an Array of Subsea Tidal Kite Prototypes. (2020). Molander, Sverker ; Tivander, Johan ; Kaddoura, Mohamad. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:2:p:456-:d:309936. Full description at Econpapers || Download paper |
2021 | Tides and Tidal Currents—Guidelines for Site and Energy Resource Assessment. (2021). Nastasi, Benedetto ; Barbarelli, Silvio. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6123-:d:643461. Full description at Econpapers || Download paper |
2021 | Tidal Stream vs. Wind Energy: The Value of Cyclic Power When Combined with Short-Term Storage in Hybrid Systems. (2021). Miles, Jon ; Goss, Zoe ; Angeloudis, Athanasios ; Coles, Daniel. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1106-:d:502201. Full description at Econpapers || Download paper |
2021 | Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market. (2021). Ceylan, Burak ; Kizil, Cevdet ; Muzir, Erol . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:125-:d:517617. Full description at Econpapers || Download paper |
2021 | Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19. (2021). Bhatti, Muhammad Ishaq ; Manzoor, Muhammad Saqib ; Iqbal, Najam. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:314-:d:590930. Full description at Econpapers || Download paper |
2020 | The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01. Full description at Econpapers || Download paper |
2020 | Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009. Full description at Econpapers || Download paper |
2021 | Equilibrium asset pricing and the cross section of expected returns. (2021). Vanden, Joel M. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00383-7. Full description at Econpapers || Download paper |
2020 | Banks and Sovereigns: Did adversity bring them closer?. (2020). Sheenan, L ; Dongue, M ; Flavin, T. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n307-20.pdf. Full description at Econpapers || Download paper |
2020 | Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-4. Full description at Econpapers || Download paper |
2020 | Time-Varying Panel Data Models with an Additive Factor Structure. (2020). GAO, Jiti ; Liu, Fei ; Yang, Yanrong. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-42. Full description at Econpapers || Download paper |
2020 | A non-hierarchical dynamic factor model for three-way data. (2020). Pinheiro, Maximiano ; Dias, Francisco ; Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w202007. Full description at Econpapers || Download paper |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510. Full description at Econpapers || Download paper |
2020 | Canonical Correlation-based Model Selection for the Multilevel Factors. (2020). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Working Papers. RePEc:sgo:wpaper:2008. Full description at Econpapers || Download paper |
2021 | A further analysis of robust regression modeling and data mining corrections testing in global stocks. (2021). Xu, Ganlin ; Guerard, John B ; Markowitz, Harry. In: Annals of Operations Research. RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-020-03521-y. Full description at Econpapers || Download paper |
2020 | A global look into stock market comovements. (2020). Inaba, Kei-Ichiro. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:156:y:2020:i:3:d:10.1007_s10290-019-00370-1. Full description at Econpapers || Download paper |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111. Full description at Econpapers || Download paper |
2020 | Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202024. Full description at Econpapers || Download paper |
2020 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202025. Full description at Econpapers || Download paper |
2021 | Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04. Full description at Econpapers || Download paper |
2021 | A large constrained time?varying portfolio selection model with DCC?MIDAS: Evidence from Chinese stock market. (2021). He, Yaoyao ; Jiang, Cuixia ; Zuo, Junqing ; Xu, Qifa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3417-3435. Full description at Econpapers || Download paper |
2021 | Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814. Full description at Econpapers || Download paper |
2022 | Why do sukuks (Islamic bonds) need a different pricing model?. (2022). Liu, Jia ; Hossain, Mohammed S ; Hassan, Mohammad Kabir ; Kabir, Sarkar H ; Uddin, Md Hamid. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2210-2234. Full description at Econpapers || Download paper |
2020 | A crossâ€section averageâ€based principal components approach for fixedâ€T panels. (2020). Westerlund, Joakim. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:776-785. Full description at Econpapers || Download paper |
2021 | Is idiosyncratic risk conditionally priced?. (2021). Mehra, Rajnish ; Xie, Daruo ; Wahal, Sunil. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:625-646. Full description at Econpapers || Download paper |
2021 | Using Principal Component Analysis to create an index of financial conditions in Spain. Differences by firm size and industry. (2021). Román-Aso, Juan ; Villalba, Fernando Coca ; Roman-Aso, Juan A ; Frigola, Irene Bosch ; Franks, Vanessa Mastral. In: EconStor Preprints. RePEc:zbw:esprep:234038. Full description at Econpapers || Download paper |
2020 | The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
1993 | A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 216 |
2012 | Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy. [Full Text][Citation analysis] | article | 2 |
2006 | Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 27 |
2007 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2006 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2007 | Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 12 |
2007 | Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2007 | Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns.(2007) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2015 | A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 2 |
2012 | Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica. [Full Text][Citation analysis] | article | 42 |
2006 | The common and specific components of dynamic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
1984 | A unified beta pricing theory In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 77 |
1986 | Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 255 |
1988 | Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 199 |
2015 | Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics. [Full Text][Citation analysis] | article | 4 |
2012 | The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 25 |
2010 | The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2013 | Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
2012 | Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2006 | Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy. [Full Text][Citation analysis] | article | 20 |
2004 | An Introduction to hedge funds In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2001 | Tests of the Fama and French model in India In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 5 |
2000 | Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2001 | A Structured GARCH Model of Daily Equity Return Volatility In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Tests of the Fama Model in India In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | (IAM Series No 002) An Intro to Hedge Funds In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | A Coasean Approach to Bank Resolution Policy in the Eurozone In: FMG Special Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | A Coasean Approach to Bank Resolution Policy in the Eurozone.(2012) In: Economics Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2009 | Market Dispersion and the Profitability of Hedge Funds In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2009 | The Risky Lending Gap In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | Irish Mortgage Default Optionality In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | A Performance Comparison of Large-n Factor Estimators.(2018) In: Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2015 | Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2016 | -Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2010 | Portfolio Risk Analysis In: Economics Books. [Citation analysis] | book | 12 |
1985 | Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management. [Full Text][Citation analysis] | article | 1 |
1987 | Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 19 |
1987 | Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 13 |
1987 | New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 0 |
1987 | An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 2 |
1988 | The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 12 |
1990 | The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 0 |
1995 | Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team